Thought some of you may find this useful.

Here's a correlation matrix created using most liquid symbols across CME, Eurex and a few from ICE UK.


I take the hourly closing prices for the instruments to calculate correlation.

Tabs in the excel spreadsheet:
60m_corr_all_data_47sym: All available data on hand - Data for most instruments goes back to 2010 (except for a few where it starts somewhere in 2016 like TN).

60m_corr_all_data_47sym_2018-19: Data filtered between Jan-2018 - Dec-2019 8am to 6pm ET

60m_corr_all_data_47sym_2019: Data filtered between Jan-2019 - Dec-2019 8am to 6pm ET

Did you calculate the correlation of prices or the correlation of returns?

SMCJB 

Did you calculate the correlation of prices or the correlation of returns?

It’s based on returns.


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blackbear 

Thought some of you may find this useful. Here's a correlation matrix created using most liquid symbols across CME, Eurex and a few from ICE UK. I take the hourly closing prices for the instruments to calculate correlation. Tabs in the excel spreadsheet: 60m_corr_all_data_47sym: All available data on hand - Data for most instruments goes back to 2010 (except for a few where it starts somewhere in 2016 like TN). 60m_corr_all_data_47sym_2018-19: Data filtered between Jan-2018 - Dec-2019 8am to 6pm ET 60m_corr_all_data_47sym_2019: Data filtered between Jan-2019 - Dec-2019 8am to 6pm ET

Blackbear! Is there a way to create a correlation matrix for the top 100 traded futures in the world?

Erikie 

Blackbear! Is there a way to create a correlation matrix for the top 100 traded futures in the world?

Of course. First, need to identify the top-100 and then find data for them. I'm sure IQfeed can help.

I will check IQfeed. Thx. Do you use software to calculate the correlations?


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